In this paper we define a finite mixture of quan- tile and M-quantile regression models for heterogeneous and /or for dependent/clustered data. Components of the finite mixture represent clusters of individuals with homogeneous values of model parameters. For its flexibility and ease of estimation, the proposed approaches can be extended to ran- dom coefficients with a higher dimension than the simple random intercept case. Estimation of model parameters is obtained through maximum likelihood, by implementing an EM-type algorithm. The standard error estimates for model parameters are obtained using the inverse of the observed information matrix, derived through the Oakes (J R Stat Soc Ser B 61:479–482, 1999) formula in the M-quantile setting, and through nonparametric bootstrap in the quantile case. We present a large scale simulation study to analyse the practical behaviour of the proposed model and to evaluate the empiri- cal performance of the proposed standard error estimates for model parameters. We considered a variety of empirical set- tings in both the random intercept and the random coefficient case. The proposed modelling approaches are also applied to two well-known datasets which give further insights on their empirical behaviour.

Finite mixtures of quantile and M-quantile regression models

SALVATI, NICOLA;
2017-01-01

Abstract

In this paper we define a finite mixture of quan- tile and M-quantile regression models for heterogeneous and /or for dependent/clustered data. Components of the finite mixture represent clusters of individuals with homogeneous values of model parameters. For its flexibility and ease of estimation, the proposed approaches can be extended to ran- dom coefficients with a higher dimension than the simple random intercept case. Estimation of model parameters is obtained through maximum likelihood, by implementing an EM-type algorithm. The standard error estimates for model parameters are obtained using the inverse of the observed information matrix, derived through the Oakes (J R Stat Soc Ser B 61:479–482, 1999) formula in the M-quantile setting, and through nonparametric bootstrap in the quantile case. We present a large scale simulation study to analyse the practical behaviour of the proposed model and to evaluate the empiri- cal performance of the proposed standard error estimates for model parameters. We considered a variety of empirical set- tings in both the random intercept and the random coefficient case. The proposed modelling approaches are also applied to two well-known datasets which give further insights on their empirical behaviour.
2017
Alfo, Marco; Salvati, Nicola; Ranalli, M. G.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11568/778911
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